2 papers
math.OC2025
Stochastic Control of Dividends with a Drawdown Penalty
Kira Dudziak, Hanspeter Schmidli
We consider a diffusion risk model where dividends are paid at rate . We are interested in maximising the dividend payments under a drawdown constraint, that is,…
math.OC2025
Stochastic Control of Drawdowns via Reinsurance under Random Inspection
Kira Dudziak, Hanspeter Schmidli
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference o…